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Compute continuously compounded returns and estimate these models: Appropriate ARIMA model by using Box-Jenkins methodology [10 Marks] Appropriate ARCH model [20 Marks] GARCH (1,1) model
Compute continuously compounded returns and estimate these models:
- Appropriate ARIMA model by using Box-Jenkins methodology [10 Marks]
- Appropriate ARCH model [20 Marks]
- GARCH (1,1) model [20 Marks]
Also, do one-step ahead forecasting for all these models.
COMPANY: BAJAJ AUTO LTD
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Financial Accounting
Authors: Jerry J. Weygandt, Paul D. Kimmel, Donald E. Kieso
11th Edition
1119594596, 978-1119594598
